1932
result(s)
Scenario Analysis and the Economic and Financial Risks from Climate Change
Staff Discussion Paper 2020-3
Erik Ens,
Craig Johnston
This paper adapts climate-economy models that have been applied in other contexts for use in climate-related scenario analysis. We consider illustrative scenarios for the global economy that could generate economic and financial risks. Our results suggest there are significant economic risks from climate change and the move to a low-carbon economy.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Climate change,
Economic models,
Financial stability,
International topics
JEL Code(s):
C,
C6,
C68,
D,
D5,
D58,
E,
E5,
E50,
O,
O4,
O44,
P,
P1,
P18,
Q,
Q4,
Q5,
Q54,
Q55
Identifying Aggregate Shocks with Micro-level Heterogeneity: Financial Shocks and Investment Fluctuation
Staff Working Paper 2020-17
Xing Guo
This paper identifies the aggregate financial shocks and quantifies their effects on business investment based on an estimated DSGE model with firm-level heterogeneity. On average, financial shocks contribute only 1.1% of the variation in U.S. public firms' aggregate investment.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Business fluctuations and cycles,
Firm dynamics
JEL Code(s):
E,
E1,
E12,
E2,
E22,
G,
G3,
G31,
G32
Endogenous Time Variation in Vector Autoregressions
Staff Working Paper 2020-16
Danilo Leiva-Leon,
Luis Uzeda
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Transmission of monetary policy
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E31,
E5,
E52
Is Central Bank Currency Fundamental to the Monetary System?
Staff Discussion Paper 2020-2
Hanna Armelius,
Carl Andreas Claussen,
Scott Hendry
In this paper, we discuss whether the ability of individuals to convert commercial bank money (i.e., bank deposits) into central bank money is fundamentally important for the monetary system.
Content Type(s):
Staff Research,
Staff Discussion Papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5
A Simple Method for Extracting the Probability of Default from American Put Option Prices
Staff Working Paper 2020-15
Bo Young Chang,
Greg Orosi
A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset pricing,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G13,
G3,
G33
Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields
Staff Working Paper 2020-14
Guihai Zhao
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
Interest Rate Uncertainty as a Policy Tool
Staff Working Paper 2020-13
Fabio Ghironi,
Galip Kemal Ozhan
We study a novel policy tool—interest rate uncertainty—that can be used to discourage inefficient capital inflows and to adjust the composition of external account between shortterm securities and foreign direct investment (FDI).
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
International financial markets,
Monetary policy framework,
Uncertainty and monetary policy
JEL Code(s):
E,
E3,
E32,
F,
F2,
F21,
F3,
F32,
G,
G1,
G15
Multi-Product Pricing: Theory and Evidence from Large Retailers in Israel
Staff Working Paper 2020-12
Marco Bonomo,
Carlos Carvalho,
Oleksiy Kryvtsov,
Sigal Ribon,
Rodolfo Rigato
Standard theories of price adjustment are based on the problem of a single-product firm, and therefore they may not be well suited to analyze price dynamics in the economy with multiproduct firms.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
D21,
D22,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
Optimal Taxation in Asset Markets with Adverse Selection
Staff Working Paper 2020-11
Mohammad Davoodalhosseini
What is the optimal tax schedule in over-the-counter markets, e.g., those for corporate bonds? I find that an optimal tax schedule is often non-monotonic. For example, trading of some high-price assets should be subsidized, and trading of some low-price assets should be taxed.
Content Type(s):
Staff Research,
Staff Working Papers
Topic(s):
Economic models,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D8,
D82,
D83,
E,
E2,
E24,
G,
G1,
G10,
J,
J3,
J31,
J6,
J64